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Altegris Winton Futures Fund, L.P. – ‘10-Q’ for 3/31/20 – ‘EX-101.INS’

On:  Friday, 5/15/20, at 4:51pm ET   ·   For:  3/31/20   ·   Accession #:  1683168-20-1627   ·   File #:  0-53348

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  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 5/15/20  Altegris Winton Futures Fd, L.P.  10-Q        3/31/20   50:3.5M                                   GlobalOne Filings Inc/FA

Quarterly Report   —   Form 10-Q   —   Sect. 13 / 15(d) – SEA’34
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 10-Q        Quarterly Report                                    HTML    329K 
 2: EX-31.1     Certification -- §302 - SOA'02                      HTML     20K 
 3: EX-31.2     Certification -- §302 - SOA'02                      HTML     20K 
 4: EX-32.1     Certification -- §906 - SOA'02                      HTML     16K 
 5: EX-32.2     Certification -- §906 - SOA'02                      HTML     16K 
17: R1          Document and Entity Information                     HTML     48K 
34: R2          Statements of Financial Condition (Unaudited)       HTML     87K 
45: R3          Statements of Financial Condition (Unaudited)       HTML     20K 
                (Parenthetical)                                                  
25: R4          CONDENSED SCHEDULE OF INVESTMENTS - Fixed Income    HTML    144K 
                Investments (Unaudited)                                          
16: R5          CONDENSED SCHEDULE OF INVESTMENTS - Futures         HTML     87K 
                Contracts (Unaudited)                                            
33: R6          Statements of Income (Loss) (Unaudited)             HTML     90K 
44: R7          Statements of Changes in Partners' Capital (Net     HTML     51K 
                Asset Value) (Unaudited)                                         
23: R8          1. Organization and Significant Accounting          HTML     82K 
                Policies                                                         
18: R9          2. Partners' Capital                                HTML     23K 
50: R10         3. Related Party Transactions                       HTML     30K 
38: R11         4. Advisory Contract                                HTML     20K 
20: R12         5. Service Fees                                     HTML     19K 
27: R13         6. Brokerage Commissions                            HTML     20K 
49: R14         7. Financial Derivative Instruments                 HTML    107K 
37: R15         8. Financial Instruments, Off-Balance Sheet Risks   HTML     23K 
                and Uncertainties                                                
19: R16         9. Indemnifications                                 HTML     20K 
26: R17         10. Financial Highlights                            HTML     56K 
48: R18         11. Subsequent Events                               HTML     21K 
39: R19         1. Organization and Significant Accounting          HTML    108K 
                Policies (Policies)                                              
13: R20         1. Organization and Significant Accounting          HTML     43K 
                Policies (Tables)                                                
32: R21         3. Related Party Transactions (Tables)              HTML     22K 
43: R22         7. Financial Derivative Instruments (Tables)        HTML    109K 
41: R23         10. Financial Highlights (Tables)                   HTML     56K 
12: R24         1. ORGANIZATION AND SIGNIFICANT ACCOUNTING          HTML     59K 
                POLICIES - Partnership's assets and liabilities at               
                fair value (Details)                                             
31: R25         1. Organization and Significant Accounting          HTML     33K 
                Policies (Details Narrative)                                     
42: R26         2. Partners' Capital (Details Narrative)            HTML     18K 
40: R27         3. RELATED PARTY TRANSACTIONS - Fees paid to        HTML     22K 
                related parties (Details)                                        
14: R28         3. Related Party Transaction (Details Narrative)    HTML     46K 
30: R29         4. Advisory Contract (Details Narrative)            HTML     34K 
28: R30         5. Service Fees (Details Narrative)                 HTML     28K 
21: R31         7. FINANCIAL DERIVATIVE INSTRUMENTS - Fair value    HTML     51K 
                of derivative contracts (Details)                                
35: R32         7. FINANCIAL DERIVATIVE INSTRUMENTS - Trading       HTML     44K 
                results of derivative trading (Details)                          
47: R33         7. FINANCIAL DERIVATIVE INSTRUMENTS - Offsetting    HTML     80K 
                Assets and Liabilities (Details)                                 
29: R34         7. Financial Derivative Instruments (Details        HTML     21K 
                Narrative)                                                       
22: R35         10. FINANCIAL HIGHLIGHTS - Financial highlights of  HTML     59K 
                the Partnership (Details)                                        
36: R36         11. Subsequent Events (Details Narrative)           HTML     19K 
24: XML         IDEA XML File -- Filing Summary                      XML     84K 
15: EXCEL       IDEA Workbook of Financial Reports                  XLSX     64K 
 6: EX-101.INS  XBRL Instance -- awin-20200331                       XML   1.61M 
 8: EX-101.CAL  XBRL Calculations -- awin-20200331_cal               XML    103K 
 9: EX-101.DEF  XBRL Definitions -- awin-20200331_def                XML    312K 
10: EX-101.LAB  XBRL Labels -- awin-20200331_lab                     XML    570K 
11: EX-101.PRE  XBRL Presentations -- awin-20200331_pre              XML    446K 
 7: EX-101.SCH  XBRL Schema -- awin-20200331                         XSD    134K 
46: ZIP         XBRL Zipped Folder -- 0001683168-20-001627-xbrl      Zip    100K

‘EX-101.INS’   —   XBRL Instance — awin-20200331

This Exhibit is an XBRL XML File.

                                                                                                                                                                                
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_IntercontinentalExchangeLMember" unitRef="Pure" decimals="INF"> 0.0440 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorpMMember" unitRef="Pure" decimals="INF"> 0.0191 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ThunderBayFundingLLCNMember" unitRef="Pure" decimals="INF"> 0.0377 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_VictoryReceivablesCorporationOMember" unitRef="Pure" decimals="INF"> 0.0345 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_WalmartIncPMember" unitRef="Pure" decimals="INF"> 0.0377 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember" unitRef="Pure" decimals="INF"> 0.2829 </us-gaap:InvestmentOwnedPercentOfNetAssets>
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNote1Member" unitRef="Pure" decimals="INF"> 0.2452 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote2Member" unitRef="Pure" decimals="INF"> 0.2547 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote3Member" unitRef="Pure" decimals="INF"> 0.0545 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote4Member" unitRef="Pure" decimals="INF"> 0.1089 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember" unitRef="Pure" decimals="INF"> 0.6633 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CertificatesOfDepositMember_custom_TheChibaBankLtd5Member" unitRef="Pure" decimals="INF"> 0.0178 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CertificatesOfDepositMember" unitRef="Pure" decimals="INF"> 0.0178 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_CedarSpringsCapitalCompanyLLC6Member" unitRef="Pure" decimals="INF"> 0.0094 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ChevronCorporation7Member" unitRef="Pure" decimals="INF"> 0.0350 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_DCATLLC8Member" unitRef="Pure" decimals="INF"> 0.0178 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ExxonMobilCorpDiscNote9Member" unitRef="Pure" decimals="INF"> 0.0267 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_MetlifeShortTermFunding10Member" unitRef="Pure" decimals="INF"> 0.0267 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorporation11Member" unitRef="Pure" decimals="INF"> 0.0178 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot12Member" unitRef="Pure" decimals="INF"> 0.0218 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot13Member" unitRef="Pure" decimals="INF"> 0.0178 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ThunderBayFundingLLC14Member" unitRef="Pure" decimals="INF"> 0.0350 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember" unitRef="Pure" decimals="INF"> 0.2080 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FixedIncomeInvestmentsMember" unitRef="Pure" decimals="INF"> 0.8891 </us-gaap:InvestmentOwnedPercentOfNetAssets>
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_CurrenciesMember" unitRef="Pure" decimals="INF"> -0.0022 </us-gaap:InvestmentOwnedPercentOfNetAssets>
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_MetalsMember" unitRef="Pure" decimals="INF"> -0.0225 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_StockIndicesMember" unitRef="Pure" decimals="INF"> 0.0007 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_TreasuryRatesMember" unitRef="Pure" decimals="INF"> 0.0056 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_LongFuturesContractsMember" unitRef="Pure" decimals="INF"> -0.0206 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_AgricultureMember" unitRef="Pure" decimals="INF"> 0.0025 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_CurrenciesMember" unitRef="Pure" decimals="INF"> 0.0045 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_EnergyMember" unitRef="Pure" decimals="INF"> 0.0068 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_InterestRatesMember" unitRef="Pure" decimals="INF"> -0.0004 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_MetalsMember" unitRef="Pure" decimals="INF"> 0.0302 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_StockIndicesMember" unitRef="Pure" decimals="INF"> -0.0026 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember_custom_TreasuryRatesMember" unitRef="Pure" decimals="INF"> -0.0010 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember_custom_ShortFuturesContractsMember" unitRef="Pure" decimals="INF"> 0.0400 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_FutureMember" unitRef="Pure" decimals="INF"> 0.0194 </us-gaap:InvestmentOwnedPercentOfNetAssets>
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2020-03-31_us-gaap_ForwardContractsMember_custom_DepreciationOfForwardContractsMember_custom_CurrenciesMember" unitRef="Pure" decimals="INF"> -0.0154 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_AgricultureMember" unitRef="Pure" decimals="INF"> 0.0000 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_CurrenciesMember" unitRef="Pure" decimals="INF"> 0.0026 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_FutureMember_custom_LongFuturesContractsMember_custom_EnergyMember" unitRef="Pure" decimals="INF"> 0.0019 </us-gaap:InvestmentOwnedPercentOfNetAssets>
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<us-gaap:InvestmentOwnedPercentOfNetAssets contextRef="AsOf2019-12-31_us-gaap_ForwardContractsMember_custom_ShortForwardContractsMember_custom_CurrenciesMember" unitRef="Pure" decimals="INF"> -0.0027 </us-gaap:InvestmentOwnedPercentOfNetAssets>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteAMember"> 2020-04-01 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteBMember"> 2020-04-03 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNoteCMember"> 2020-04-08 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteDMember"> 2020-04-20 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteEMember"> 2020-04-22 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNoteFMember"> 2020-05-05 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_UnitedStatesTreasuryGMember"> 2020-04-02 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_AppleIncHMember"> 2020-04-17 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ChevronCorporationIMember"> 2020-04-17 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_DCATLLCJMember"> 2020-04-09 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ExxonMobilCorporationKMember"> 2020-04-22 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_IntercontinentalExchangeLMember"> 2020-04-06 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorpMMember"> 2020-04-17 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ThunderBayFundingLLCNMember"> 2020-04-13 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_VictoryReceivablesCorporationOMember"> 2020-04-01 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_WalmartIncPMember"> 2020-04-15 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNote1Member"> 2020-01-02 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote2Member"> 2020-01-02 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote3Member"> 2020-01-03 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote4Member"> 2020-01-23 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CertificatesOfDepositMember_custom_TheChibaBankLtd5Member"> 2020-01-15 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_CedarSpringsCapitalCompanyLLC6Member"> 2020-01-02 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ChevronCorporation7Member"> 2020-01-14 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_DCATLLC8Member"> 2020-01-07 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ExxonMobilCorpDiscNote9Member"> 2020-01-13 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_MetlifeShortTermFunding10Member"> 2020-01-13 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorporation11Member"> 2020-01-22 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot12Member"> 2020-01-02 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot13Member"> 2020-01-06 </awin:MaturityDate>
<awin:MaturityDate contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ThunderBayFundingLLC14Member"> 2020-01-15 </awin:MaturityDate>
<awin:InterestRateyield contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteAMember" unitRef="Pure" id="Foot-05-0" decimals="INF"> 0.0000 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNoteBMember" unitRef="Pure" id="Foot-05-1" decimals="INF"> 0.0000 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNoteCMember" unitRef="Pure" id="Foot-05-2" decimals="INF"> 0.0000 </awin:InterestRateyield>
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<awin:InterestRateyield contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorpMMember" unitRef="Pure" id="Foot-05-12" decimals="INF"> 0.0197 </awin:InterestRateyield>
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<awin:InterestRateyield contextRef="From2020-01-01to2020-03-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_VictoryReceivablesCorporationOMember" unitRef="Pure" id="Foot-05-14" decimals="INF"> 0.0010 </awin:InterestRateyield>
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<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalFarmCreditBankDiscNote1Member" unitRef="Pure" id="Foot-05-16" decimals="INF"> 0.0115 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote2Member" unitRef="Pure" id="Foot-05-17" decimals="INF"> 0.0115 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote3Member" unitRef="Pure" id="Foot-05-18" decimals="INF"> 0.0157 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_USGovernmentAgenciesShorttermDebtSecuritiesMember_custom_FederalHomeLoanBankDiscNote4Member" unitRef="Pure" id="Foot-05-19" decimals="INF"> 0.0158 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CertificatesOfDepositMember_custom_TheChibaBankLtd5Member" unitRef="Pure" id="Foot-05-20" decimals="INF"> 0.0180 </awin:InterestRateyield>
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<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_DCATLLC8Member" unitRef="Pure" id="Foot-05-23" decimals="INF"> 0.0194 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_ExxonMobilCorpDiscNote9Member" unitRef="Pure" id="Foot-05-24" decimals="INF"> 0.0169 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_MetlifeShortTermFunding10Member" unitRef="Pure" id="Foot-05-25" decimals="INF"> 0.0181 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_PACCARFinancialCorporation11Member" unitRef="Pure" id="Foot-05-26" decimals="INF"> 0.0166 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot12Member" unitRef="Pure" id="Foot-05-27" decimals="INF"> 0.0146 </awin:InterestRateyield>
<awin:InterestRateyield contextRef="From2019-01-01to2019-12-31_us-gaap_FixedIncomeInvestmentsMember_us-gaap_CorporateNoteSecuritiesMember_custom_TheHomeDepot13Member" unitRef="Pure" id="Foot-05-28" decimals="INF"> 0.0156 </awin:InterestRateyield>
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<awin:TotalReturnAfterIncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> 0.0029 </awin:TotalReturnAfterIncentiveFeesPercentage>
<awin:TotalReturnAfterIncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> -0.0919 </awin:TotalReturnAfterIncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersOriginalClassAMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersOriginalClassAMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersOriginalClassBMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersOriginalClassBMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersSpecialInterestsMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersSpecialInterestsMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersClassAMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersClassAMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersClassBMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersClassBMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:IncentiveFeesPercentage contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> -0.0000 </awin:IncentiveFeesPercentage>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersOriginalClassAMember" unitRef="Pure" decimals="INF"> 0.0004 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersOriginalClassAMember" unitRef="Pure" decimals="INF"> -0.0940 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersOriginalClassBMember" unitRef="Pure" decimals="INF"> 0.0029 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersOriginalClassBMember" unitRef="Pure" decimals="INF"> -0.0919 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersSpecialInterestsMember" unitRef="Pure" decimals="INF"> 0.0035 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersSpecialInterestsMember" unitRef="Pure" decimals="INF"> -0.0913 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersClassAMember" unitRef="Pure" decimals="INF"> -0.0041 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersClassAMember" unitRef="Pure" decimals="INF"> -0.0984 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersClassBMember" unitRef="Pure" decimals="INF"> 0.0008 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersClassBMember" unitRef="Pure" decimals="INF"> -0.0938 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2019-01-01to2019-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> 0.0029 </awin:TotalReturnPercentagePriorToIncentiveFees>
<awin:TotalReturnPercentagePriorToIncentiveFees contextRef="From2020-01-01to2020-03-31_custom_LimitedPartnersInstitutionalInterestsMember" unitRef="Pure" decimals="INF"> -0.0919 </awin:TotalReturnPercentagePriorToIncentiveFees>
<us-gaap:OrganizationConsolidationBasisOfPresentationBusinessDescriptionAndAccountingPoliciesTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i> </i></b></p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">A.       General Description of the Partnership</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Altegris Winton Futures Fund, L.P. (the “Partnership”) was organized as a Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization.</p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in"> </p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">B.       Method of Reporting</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of March 31, 2020 and December 31, 2019, and reported amounts of income and expenses for the three months ended March 31, 2020 and 2019, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the financial statements for the interim period.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">C.       Fair Value</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 2 - Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 3 - Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The availability of valuation techniques and observable inputs can vary from assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of U.S. government agency bonds and notes is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of March 31, 2020 and December 31, 2019, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of March 31, 2020 or December 31, 2019, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">There were no changes to the Partnership’s valuation methodology during the three month period ended March 31, 2020 and the year ended December 31, 2019.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following table presents information about the Partnership’s assets and liabilities measured at fair value as March 31, 2020 and December 31, 2019:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold">March 31, 2020</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">March 31, 2020</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">4,896,670</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">71,447,709</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">76,344,379</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,383,937</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(1,203,304</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(4,587,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">December 31, 2019</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">December 31, 2019</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt; text-indent: 12.3pt">Certificates of deposit</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">2,277,168</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">81,990,161</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">84,267,329</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,152,214</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(264,739</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,416,953</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; width: 100%; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">(1) See Note 7. “Financial Derivative Instruments” for the fair value in each type of contracts within this category.</font></td></tr> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">* Future contracts include settled variation margin.</font></td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">For the period ended March 31, 2020 and the year ended December 31, 2019, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended March 31, 2020 and the year ended December 31, 2019, there were no Level 3 securities.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> D.       Investment Transactions and Investment Income</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Gains or losses on futures contracts, options on futures contracts and forward currency contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are recognized as trading gains and losses.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at quarter end, resulting from changes in the exchange rates.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of March 31, 2020 and December 31, 2019, the Partnership’s restricted cash balance on the Statements of Financial Condition of $3,279,510 and $7,510,328, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of March 31, 2020 and December 31, 2019, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,137,325 and $1,582,344, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"> E.       Option Contracts</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the options clearing corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the writer of an option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As of March 31, 2020 and December 31, 2019, the Partnership did not hold any option contracts.</p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: bold 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">F.</td><td style="padding-right: 2.8pt">Futures Contracts</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in settled variation margin on the Statements of Financial Condition. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at March 31, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="font: bold 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">G.</td><td style="padding-right: 2.8pt">Forward Currency Contracts</td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at March 31, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="font: bold 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">H.</td><td style="padding-right: 2.8pt">Foreign Currency Transactions</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).</p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: bold 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">I.</td><td style="padding-right: 2.8pt">Cash</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. and Northern Trust Company. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Both restricted cash and restricted foreign currency are held as margin collateral for futures transactions.</p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: bold 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">J.</td><td style="padding-right: 2.8pt">Income Taxes</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2020 and December 31, 2019. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2016.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2020 and December 31, 2019.</p>
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<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 2 - PARTNERS’ CAPITAL</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i> </i></b></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">A.</td><td style="padding-right: 2.8pt">Capital Accounts and Allocation of Income and Losses</td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership accounts for subscriptions and redemptions on a per partner capital account basis.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership consists of the General Partner’s Interest, Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests. Original Class A Interests and Original Class B Interests were issued prior to July 1, 2008 and are no longer issued to limited partners in the Partnership (each a “Limited Partner” and collectively the “Limited Partners”). Class A Interests, Class B Interests and Institutional Interests were first issued by the Partnership on July 1, 2008. Income or loss (prior to management fees, administrative fees, service fees and incentive fees) are allocated pro rata among the Limited Partners based on their respective capital accounts as of the end of each month, in which the items accrue pursuant to the terms of the Partnership’s Agreement. Original Class A Interests, Original Class B Interests, Special Interests, Class A Interests, Class B Interests and Institutional Interests are then charged with their applicable management fee, administrative fee, service fee and incentive fee in accordance with the Agreement.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">No Limited Partner of the Partnership shall be liable for any debts or liabilities of the Partnership or any losses thereof in excess of such Limited Partner’s capital contributions, except as may be required by law.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">B.</td><td style="padding-right: 2.8pt">Subscriptions, Distributions and Redemptions</td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Investments in the Partnership are made by subscription agreement, subject to acceptance by the General Partner.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is not required to make distributions but may do so at the sole discretion of the General Partner. A Limited Partner may request and receive redemption of capital, subject to restrictions set forth in the Agreement. The General Partner may request and receive redemption of capital, subject to the same terms as any Limited Partner. The partners may withdraw their interests on a monthly basis upon at least 15 days’ prior written notice, subject to the discretion of the General Partner. No distributions were made for the three months ended March 31, 2020 and 2019.</p>
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<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 3 - RELATED PARTY TRANSACTIONS</i></b></p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">A.</td><td style="padding-right: 2.8pt">General Partner Management Fee</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The General Partner receives a monthly management fee from the Partnership equal to 0.0625% (0.75% annually) for Original Class A, 0.146% (1.75% annually) for Original Class B, and currently 0.0417% (0.50% annually) for Special Interests of the Partnership's net asset value apportioned to each Partner’s capital account at the beginning of the month, before deduction of any accrued incentive fees related to the current quarter (the “management fee net asset value”). The General Partner receives a monthly management fee from the Partnership equal to 0.104% (1.25% annually) for Class A and Class B, and 0.0625% (0.75% annually) for Institutional Interests of the Partnership's management fee net asset value. The General Partner may declare any Limited Partner a “Special Limited Partner” and the management fees or incentive fees charged to any such partner may be different than those charged to other Limited Partners.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Total Management Fees earned by the General Partner, for the three months ended March 31, 2020 and 2019 are shown on the Statements of Income (Loss) as a Management Fee.</p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">B.</td><td style="padding-right: 2.8pt">Administrative Fee</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The General Partner receives a monthly administrative fee from the Partnership equal to 0.0275% (0.33% annually) of the Partnership's management fee net asset value attributable to Class A and Class B Interests. For the three months ended March 31, 2020, administrative fees for Class A and Class B Interests were $29,007 and $14,500, respectively. For the three months ended March 31, 2019, administrative fees for Class A and Class B Interests were $46,567 and $19,121, respectively. General Partner’s Interest, Original Class A, Original Class B, Special Interests and Institutional Interests did not get charged the administrative fee.</p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">C.</td><td style="padding-right: 2.8pt">Altegris Investments, L.L.C. and Altegris Clearing Solutions, L.L.C.</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Altegris Investments, L.L.C. (“Altegris Investments”), an affiliate of the General Partner, is registered as a broker-dealer with the SEC and a Delaware limited liability company. Altegris Clearing Solutions, L.L.C. (Altegris Clearing Solutions), an affiliate of the General Partner and an introducing broker registered with the CFTC, is the Partnership’s introducing broker.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Altegris Investments has entered into a selling agreement with the Partnership whereby it receives 2% per annum as continuing compensation for Class A Interests sold by Altegris Investments that are outstanding at month end. The Partnership’s introducing broker receives a portion of the commodity brokerage commissions paid by the Partnership to the Clearing Broker and interest income retained by the Clearing Broker. Additionally, the Partnership pays to its clearing brokers and its introducing broker, at a minimum, brokerage charges at a flat rate of 0.125% (1.5% annually) of the Partnership’s management fee net asset value. Brokerage charges may exceed the flat rate described above, depending on commission and trading volume levels, which may vary.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">At March 31, 2020 and December 31, 2019, the Partnership had commissions and brokerage fees payable to its introducing broker of $81,120 and $93,519, respectively, and service fees payable to Altegris Investments of $11,160 and $13,865, respectively. These amounts are included in commissions payable and service fees payable on the Statements of Financial Condition, respectively. The amounts shown on the Statements of Financial Condition include fees payable to non-related parties.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three months ended March 31, 2020 and 2019:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">Three months ended</td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">Three months ended</td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">March 31, 2019</td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 66%; text-align: left">Altegris Clearing Solutions - Brokerage Commission fees</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 13%; text-align: right">267,660</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 13%; text-align: right">389,909</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Altegris Investments- Service fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">36,967</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">50,332</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: right; padding-bottom: 2.5pt">Total</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">304,627</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">440,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The amounts above are included in Brokerage Commissions and Service Fees on the Statements of Income (Loss), respectively. The amounts shown on the Statements of Income (Loss) include fees paid to non-related parties.</p>
</us-gaap:RelatedPartyTransactionsDisclosureTextBlock>
<awin:AdvisoryContractTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 4 - ADVISORY CONTRACT</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership's trading activities are conducted pursuant to an advisory contract with Winton Capital Management, Ltd. (“Advisor”). The Partnership pays the Advisor a quarterly incentive fee of 20% of the trading profits (as defined in the Agreement). However, the quarterly incentive fee is payable only on cumulative profits achieved from commodity trading (as defined in the Agreement), calculated separately for each partner’s interest (as defined in the Agreement). The incentive fee is accrued on a monthly basis and paid quarterly. Total incentive fees earned by the Advisor for the three months ended March 31, 2020 and 2019 are shown on the Statements of Income (Loss).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">All Interest holders will be assessed a monthly management fee paid to the Advisor of 0.083% of the management fee net asset value of each holder’s month-end capital account balance (1.00% annually), with the exception of Original Class A Interests. In addition, the General Partner has assigned a portion of its management fees earned to the Advisor. For the three months ended March 31, 2020, management fees for Class A, Class B, Original Class B, Special Interests and Institutional Interests were $87,902, $43,939, $521, $45,851 and $29,797, respectively. For the three months ended March 31, 2019, management fees for Class A, Class B, Original Class B, Special Interests and Institutional Interests were $141,113, $57,943, $791, $46,006 and $41,856 respectively. General Partner’s Interest and Original Class A Interests did not get charged the management fee.</p>
</awin:AdvisoryContractTextBlock>
<awin:ServiceFeesTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 5 - SERVICE FEES</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Original Class A Interests and Class A Interests pay selling agents an ongoing monthly payment of 0.166% of the month-end net asset value (2% annually) of the value of interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners. Institutional Interests may pay selling agents, if the selling agent so elects, an ongoing monthly payment of 0.0417% (0.50% annually) of the value of Institutional Interests sold by them which are outstanding at month-end as compensation for their continuing services to the Limited Partners holding Institutional Interests. For the three months ended March 31, 2020, service fees for General Partner’s Interest, Original Class A and Class A were $17, $23,900 and $167,539, respectively. For the three months ended March 31, 2019, service fees for General Partner’s Interest, Class A, Original Class A and Institutional Interests were $18, $279,201, $31,107 and $763, respectively. Class B, Original Class B and Special Interests did not get charged the service fees.</p>
</awin:ServiceFeesTextBlock>
<us-gaap:BrokersAndDealersDisclosureTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 6 - BROKERAGE COMMISSIONS </i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is subject to monthly brokerage charges equal to the greater of: (A) actual commissions and expenses paid to the Clearing Broker by the Partnership; or (B) an amount equal to 0.125% of the management fee net asset value of all Limited Partners’ month-end capital account balances (1.50% annually) (the “Minimum Amount”).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are less than the Minimum Amount, the Partnership will pay to the Introducing Broker the difference as payment for brokerage-related services, including, but not limited to, monitoring trade, execution, clearing, custodial and distribution services provided to the Partnership. If actual commissions and expenses paid to the Clearing Broker in a month (in (A) above) are greater than the Minimum Amount, the Partnership pays only the amounts described in (A) above. The Partnership’s payment of brokerage commissions to the Clearing Broker for clearing trades on its behalf, and payments to the Introducing Broker for brokerage-related services, if any, are reflected on the Statements of Income (Loss) as Brokerage Commissions.</p>
</us-gaap:BrokersAndDealersDisclosureTextBlock>
<us-gaap:DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i>NOTE 7 - FINANCIAL DERIVATIVE INSTRUMENTS </i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><i> </i></p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership engages in the speculative trading of futures contracts and forward currency contracts for the purpose of achieving capital appreciation. None of the Partnership’s derivative instruments are designated as hedging instruments, as defined in the Derivatives and Hedging Topic of the Accounting Standards Codification (“ASC”), nor are they used for other risk management purposes. The Advisor and General Partner actively assess, manage and monitor risk exposure on derivatives on a contract basis, a sector basis (e.g., interest rate derivatives, agricultural derivatives, etc.), and on an overall basis in accordance with established risk parameters. Due to the speculative nature of the Partnership’s derivative trading activity, the Partnership is subject to the risk of substantial losses from derivatives trading.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following presents the fair value of derivatives contracts at March 31, 2020 and December 31, 2019. The fair value of derivatives contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 85%"> <tr style="vertical-align: bottom"> <td colspan="13" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Assets</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Liability </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center"> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Net</b></font></td><td style="font-weight: bold; text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Derivatives Contracts</td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value </b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: left">Futures Contracts*</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">490,003</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(448,428</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">41,575</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">512,232</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(326,765</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">185,467</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">551,832</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(21,301</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">530,531</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">224,126</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(277,307</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(53,181</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">2,623,224</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(2,027,379</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">595,845</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">59,456</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(203,132</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(143,676</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">435,797</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(79,625</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">356,172</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">4,896,670</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(3,383,937</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">1,512,733</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">599,547</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(603,757</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: 0.05pt">Total Gross Fair Value of Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">5,496,217</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(4,587,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">908,976</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"></p> <p style="text-align: left; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">* Futures contracts include settled variation margin. </p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 85%"> <tr style="vertical-align: bottom"> <td colspan="13" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Assets</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Liability</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center"> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Net</b></font></td><td style="font-weight: bold; text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Derivatives Contracts</td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: left">Futures Contracts*</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">80,153</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(635,761</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(555,608</td><td style="width: 1%; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">247,206</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(519,542</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(272,336</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">453,237</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(9,753</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">443,484</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">21,185</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(353,792</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(332,607</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">1,091,050</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,144,048</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(52,998</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">345,173</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(149,865</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">195,308</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">39,164</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(339,453</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(300,289</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">2,277,168</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(3,152,214</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(875,046</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">403,817</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">139,078</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: 0.05pt">Total Gross Fair Value of Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">2,680,985</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,416,953</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(735,968</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="margin: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"></p> <p style="text-align: left; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">* Futures contracts include settled variation margin.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following presents the trading results of the Partnership’s derivative trading and information related to the volume of the Partnership’s derivative activity for the three months ended March 31, 2020 and 2019.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="background-color: White; border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td colspan="13" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three Months Ended March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Change in</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Number of</p> <p style="margin-top: 0; margin-bottom: 0">Contracts</p></td><td style="text-align: center; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Realized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Unrealized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"> Closed</td><td style="text-align: center; padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Futures Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 38%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(738,971</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">597,183</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 11%; text-align: right"> </td><td style="width: 3%; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,386,110</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">457,803</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,239,227</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">87,047</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(538,527</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">279,426</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(362,802</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">648,843</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(5,210,776</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(338,984</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">576,828</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">656,461</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">(8,899,585</td><td style="vertical-align: bottom; padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">2,387,779</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right">8,174</td><td style="padding-bottom: 2.5pt; text-align: center">(1)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(323,619</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(742,835</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center">(2)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: -8.25pt; padding-left: 8.25pt">Total Gain (loss) from Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(9,223,204</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">1,644,944</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right"> </td><td style="padding-bottom: 2.5pt; text-align: center"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="background-color: White; border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td colspan="13" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three Months Ended March 31, 2019</td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Change in</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Number of</p> <p style="margin-top: 0; margin-bottom: 0">Contracts</p></td><td style="text-align: center; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Realized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Unrealized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"> Closed</td><td style="text-align: center; padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Futures Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 38%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">41,680</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">713,262</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 11%; text-align: right"> </td><td style="width: 3%; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(444,466</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">574,921</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(2,540,629</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">800,213</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">799,042</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">21,542</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,755,636</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">1,474,878</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">313,470</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">563,367</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">2,461</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">54,859</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">(3,584,078</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">4,203,042</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right">7,211</td><td style="padding-bottom: 2.5pt; text-align: center">(1)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">178,111</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(85,823</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center">(2)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: -8.25pt; padding-left: 8.25pt">Total Gain (loss) from Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,405,967</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">4,117,219</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right"> </td><td style="padding-bottom: 2.5pt; text-align: center"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(1)</td><td style="text-align: justify; padding-right: 2.8pt">These closed contract amounts are representative of the Partnership’s volume of derivative activity for futures contracts during the period.</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 27pt; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(2)</td><td style="text-align: justify">The total notional value of contracts closed for the period ended March 31, 2020, and period ended March 31, 2019 were approximately $112,693,000 and $147,968,000, respectively. These numbers represent the notional value at the opening of the contract, and are representative of the Partnership’s volume of derivative activity for forward currency contracts during those periods.</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: center"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">With respect to futures contracts and options on futures contracts, the Partnership has entered into an agreement with the Clearing Broker which grants the Clearing Broker the right to offset recognized derivative assets and derivative liabilities if certain conditions exist, which would require the Clearing Broker to liquidate the Partnership’s positions. These events include the following: (i) the Clearing Broker is directed or required by a regulatory or self-regulatory organization, (ii) the Clearing Broker determines, at its discretion, that the risk in the Partnership’s account must be reduced for protection of the Clearing Broker, (iii) upon the Partnership’s breach or failure to perform on its contractual agreements with the Clearing Broker, (iv) upon the commencement of bankruptcy, insolvency or similar proceeding for the protection of creditors against the Partnership, or (v) upon the dissolution, winding-up, liquidation or merger of the Partnership.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">With respect to foreign currency forward contracts, the Partnership has entered into an agreement with the Clearing Broker, whereby the party having the greater obligation (either the Partnership or the Clearing Broker) shall deliver to the other party at the settlement date the net amount of recognized derivative assets and liabilities.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following table summarizes the disclosure requirements for offsetting assets and liabilities:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-right: 0; margin-bottom: 0pt; text-align: left"></p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%; background-color: White"> <tr style="vertical-align: bottom"> <td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle">Offsetting the Financial Assets and Derivative Assets</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="border-bottom: Black 1pt solid; text-align: center"><b>Gross Amounts Not Offset in the Statements of Financial Condition</b></td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold"> </td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold">As of March 31, 2020</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; width: 30%; font-weight: bold; text-align: center">Description</td><td style="width: 2%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross</p> <p style="margin-top: 0; margin-bottom: 0">Amounts of</p> <p style="margin-top: 0; margin-bottom: 0">Recognized</p> <p style="margin-top: 0; margin-bottom: 0">Assets</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross Amounts</p> <p style="margin-top: 0; margin-bottom: 0">Offset in the</p> <p style="margin-top: 0; margin-bottom: 0">Statements of</p> <p style="margin-top: 0; margin-bottom: 0">Financial Condition</p></td> <td style="width: 1%"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Net Amounts</p> <p style="margin-top: 0; margin-bottom: 0">of Assets Presented</p> <p style="margin-top: 0; margin-bottom: 0">in the Statements</p> <p style="margin-top: 0; margin-bottom: 0">of Financial Condition</p></td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Financial</p> <p style="margin-top: 0; margin-bottom: 0">Instruments</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Cash Collateral</p> <p style="margin-top: 0; margin-bottom: 0">Received (1)</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center">Net Amount</td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Forward Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right; vertical-align: bottom">599,547</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">(599,547</td> <td style="text-align: left; vertical-align: bottom">)</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures Contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">3,067,257</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">(2,659,156</td> <td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom">)</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">408,101</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">408,101</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-left: 20pt; text-align: left; padding-bottom: 2.5pt"><b>Total</b></td><td style="padding-bottom: 2.5pt"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>3,666,804</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(3,258,703</b></td> <td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>408,101</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>408,101</b></td><td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td></tr> </table> <p style="margin: 0"> </p> <p style="margin: 0"></p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%; background-color: White"> <tr style="vertical-align: bottom"> <td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle">Offsetting the Financial Liabilities and Derivative Liabilities</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="border-bottom: Black 1pt solid; text-align: center"><b>Gross Amounts Not Offset in the Statements of Financial Condition</b></td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle"> </td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold">As of March 31, 2020</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; width: 30%; font-weight: bold; text-align: center">Description</td><td style="width: 2%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross</p> <p style="margin-top: 0; margin-bottom: 0">Amounts of</p> <p style="margin-top: 0; margin-bottom: 0">Recognized</p> <p style="margin-top: 0; margin-bottom: 0">Liabilities</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross Amounts</p> <p style="margin-top: 0; margin-bottom: 0">Offset in the</p> <p style="margin-top: 0; margin-bottom: 0">Statements of</p> <p style="margin-top: 0; margin-bottom: 0">Financial Condition</p></td> <td style="width: 1%"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Net Amounts</p> <p style="margin-top: 0; margin-bottom: 0">of Liabilities Presented</p> <p style="margin-top: 0; margin-bottom: 0">in the Statements</p> <p style="margin-top: 0; margin-bottom: 0">of Financial Condition</p></td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Financial</p> <p style="margin-top: 0; margin-bottom: 0">Instruments</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Cash Collateral</p> <p style="margin-top: 0; margin-bottom: 0">Pledged (1)</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center">Net Amount</td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Forward Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right; vertical-align: bottom">(1,203,304</td><td style="text-align: left; vertical-align: bottom">)</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">599,547</td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">(603,757</td><td style="text-align: left; vertical-align: bottom">)</td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">603,757</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures Contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">(2,659,156</td><td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom">)</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">2,659,156</td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"></td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-left: 20pt; text-align: left; padding-bottom: 2.5pt"><b>Total</b></td><td style="padding-bottom: 2.5pt"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(3,862,460</b></td><td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>3,258,703</b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(603,757</b></td><td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>603,757</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td colspan="12" style="font-weight: bold">Offsetting the Financial Assets and Derivative Assets</td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="6" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Not Offset in the Statements of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td colspan="5" style="font-weight: bold">As of December 31, 2019</td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Description</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross <br />Amounts of <br />Recognized <br />Assets</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Offset in the <br />Statements of <br />Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amounts <br />of Assets Presented <br />in the Statements <br />of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Financial <br />Instruments</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Cash Collateral Received (1)</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amount</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 22%; text-align: left">Forward contracts</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">403,817</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">(264,739</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">139,078</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">139,078</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,452,946</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,452,946</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">1,856,763</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(1,717,685</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">139,078</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">139,078</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td colspan="12" style="font-weight: bold">Offsetting the Financial Liabilities and Derivative Liabilities</td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="6" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Not Offset in the Statements of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td colspan="5" style="font-weight: bold">As of December 31, 2019</td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Description</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross <br />Amounts of <br />Recognized Liabilities</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Offset in the <br />Statements of <br />Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amounts <br />of Liabilities Presented <br />in the Statements <br />of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Financial <br />Instruments</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Cash Collateral Received (1)</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amount</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; width: 22%">Forward contracts</td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">(264,739</td><td style="text-align: left; width: 1%">)</td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">264,739</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,872,466</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,452,946</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(419,520</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">419,520</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(2,137,205</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">1,717,685</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(419,520</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">419,520</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="margin: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">(1) The Partnership posted additional collateral of $3,813,078 as of March 31, 2020 and $8,673,152 for December 31, 2019 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify">* Futures contracts excludes settled variation margin.</p>
</us-gaap:DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock>
<us-gaap:FinancialInstrumentsDisclosureTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; text-align: left; margin-top: 0pt; margin-right: 2.8pt; margin-bottom: 0pt"><b><i>NOTE 8 - FINANCIAL INSTRUMENTS, OFF-BALANCE SHEET RISKS AND UNCERTAINTIES</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership participates in the speculative trading of commodity futures contracts and forward currency contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges and interbank market makers. Further for futures contracts and options on futures contracts, the Clearing Broker has the right to require margin in excess of the minimum exchange requirement. Risk arises from changes in the value of these contracts (market risk) and the potential inability of brokers or interbank market makers to perform under the terms of their contracts (credit risk).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">All of the contracts, with the exception of forward currency contracts, currently traded by the Partnership are exchange traded. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with over-the-counter transactions because, in over-the-counter transactions, the Partnership must rely solely on the credit of its respective individual counterparties. For forward currency contracts, the Partnership is subject to the credit risk associated with counterparty non-performance. The credit risk from counterparty non-performance associated with such instruments is the net unrealized gain on forward currency contracts.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership also has credit risk since the sole counterparty to all domestic futures contracts is the exchange clearing corporation. In addition, the Partnership bears the risk of financial failure by the Clearing Broker. The Partnership's policy is to continuously monitor its exposure to market and counterparty risk through the use of a variety of financial, position and credit exposure reporting and control procedures. In addition, the Partnership has a policy of reviewing the credit standing of each clearing broker or counterparty with which it conducts business.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership has a substantial portion of its assets on deposit with the Custodian in U.S. government agency bonds and notes and corporate notes. Risks arise from investments in bonds and notes due to possible illiquidity and the potential for default by the issuer or counterparty. Such instruments are also sensitive to changes in interest rates and economic conditions.</p>
</us-gaap:FinancialInstrumentsDisclosureTextBlock>
<us-gaap:CommitmentsContingenciesAndGuaranteesTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; text-align: left; margin-top: 0pt; margin-right: 2.8pt; margin-bottom: 0pt"><b><i>NOTE 9 - INDEMNIFICATIONS</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">In the normal course of business, the Partnership enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications. The Partnership’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Partnership that have not yet occurred. The Partnership expects the risk of any future obligation under these indemnifications to be remote.</p>
</us-gaap:CommitmentsContingenciesAndGuaranteesTextBlock>
<awin:FinancialHighlightsTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; text-align: left; margin-top: 0pt; margin-right: 2.8pt; margin-bottom: 0pt"><b><i>NOTE 10 - FINANCIAL HIGHLIGHTS</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following information presents the financial highlights of the Partnership for the three months ended March 31, 2020 and 2019. This information has been derived from information presented in the financial statements.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="23" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three months ended March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Original</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Original</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Special</td><td style="font-weight: bold"> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Institutional</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class A</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class B</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Interests</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class A</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class B</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Interests</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Total return for Limited Partners (3)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 28%; text-align: left; padding-left: 7.95pt">Return prior to incentive fees</td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.40)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.19)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.13)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.84)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.38)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.19)%</td><td style="width: 2%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total return after incentive fees</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.40)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.19)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.13)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.84)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.38)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.19)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Ratio to average net asset value</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Expenses prior to incentive fees (2)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.25%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.31%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.00%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">5.13%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.11%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.26%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees (3)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt; padding-left: 12.45pt">Total expenses</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.25%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.31%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.00%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">5.13%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.11%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.26%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Net investment (loss) (1) (2)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.96)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.03)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.77)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(3.84)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.87)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.02)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td colspan="22" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Three months ended March 31, 2019</b></font></td></tr> <tr style="vertical-align: bottom"> <td style="width: 28%"> </td><td style="font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Original</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Original</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Special</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; width: 1%"> </td> <td style="text-align: center; width: 1%"> </td><td style="text-align: center; width: 8%"> </td><td style="text-align: center; width: 2%"> </td><td style="text-align: center; width: 1%"> </td> <td style="text-align: center; width: 1%"> </td><td style="text-align: center; width: 8%"> </td><td style="text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Institutional</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: center; padding-bottom: 1pt"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class A</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class B</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Interests</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class A</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class B</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Interests</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Total return for Limited Partners (3)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Return prior to incentive fees</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.04%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.29%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.35%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">(0.41)%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.08%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.29%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-left: 7.95pt"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total return after incentive fees</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.04%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.29%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.35%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.41)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.08%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.29%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Ratio to average net asset value</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Expenses prior to incentive fees (2)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.30%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.34%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.09%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">5.11%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.15%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.33%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees (3)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt; padding-left: 12.45pt">Total expenses</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.30%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.34%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.09%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">5.11%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.15%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.33%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Net investment (loss) (1) (2)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.02)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.05)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.20%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(2.83)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.87)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.06)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify"><i>Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.</i> </p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(1)</td><td style="text-align: justify; padding-right: 2.8pt">Excludes incentive fee.</td></tr></table> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(2)</td><td style="text-align: justify; padding-right: 2.8pt">Annualized.</td></tr></table> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(3)</td><td style="text-align: justify; padding-right: 2.8pt">Not annualized.</td></tr></table>
</awin:FinancialHighlightsTextBlock>
<us-gaap:SubsequentEventsTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; text-align: left; margin-top: 0pt; margin-right: 2.8pt; margin-bottom: 0pt"><b><i>NOTE 11 - SUBSEQUENT EVENTS</i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Management of the Partnership evaluated subsequent events through the date these financial statements were issued, and concluded that no events subsequent to March 31, 2020 have occurred that would require recognition or disclosure, except as noted below.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">From April 1, 2020 through May 15, 2020, the Partnership had subscriptions of $163,729 and redemptions of $1,177,682.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Subsequent to December 31, 2019, there has been a global outbreak of a coronavirus disease 2019 (COVID-19), which the World Health Organization has declared a “Public Health Emergency of International Concern”. The impact of COVID-19 may affect the Partnership’s investments, given that the Advisor’s operations and profitability could be impacted by the regional and global outbreak of COVID-19. The extent of the impact to the financial performance of the Partnership will depend on future developments, which are highly uncertain and cannot be predicted, including new information which may emerge concerning the severity of COVID-19 and actions taken to contain COVID-19 or its impact.</p>
</us-gaap:SubsequentEventsTextBlock>
<us-gaap:BusinessDescriptionAndBasisOfPresentationTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">A.       General Description of the Partnership</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Altegris Winton Futures Fund, L.P. (the “Partnership”) was organized as a Colorado limited partnership in March 1999, and will continue until December 31, 2035, unless sooner terminated as provided for in the Agreement of Limited Partnership (the “Agreement”), as amended and restated from time to time. The Partnership's general partner is Altegris Advisors, L.L.C. (the “General Partner”). The General Partner has the overall responsibility for the management, operation and administration of the Partnership, including the selection of its commodity trading adviser. The Partnership's trading activities are conducted pursuant to an advisor contract with Winton Capital Management Limited (the "Advisor"). The Partnership speculatively trades commodity futures contracts, options on futures contracts, forward contracts and other commodity interests. The objective of the Partnership’s business is appreciation of its assets. The Partnership is subject to the regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States (“U.S.”) government that regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of commodity exchanges and futures commission merchants (brokers) through which the Partnership trades</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The General Partner is registered with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended, as an investment adviser and is registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and is a member of the National Futures Association, an industry self-regulatory organization.</p>
</us-gaap:BusinessDescriptionAndBasisOfPresentationTextBlock>
<us-gaap:BasisOfAccountingPolicyPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">B.       Method of Reporting</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s financial statements are presented in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Partnership follows the accounting and reporting guidelines for investment companies. The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported fair value of assets and liabilities, disclosures of contingent assets and liabilities as of March 31, 2020 and December 31, 2019, and reported amounts of income and expenses for the three months ended March 31, 2020 and 2019, respectively. Management believes that the estimates utilized in preparing the Partnership’s financial statements are reasonable; however, actual results could differ from these estimates and it is reasonably possible that differences could be material.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The financial information included herein is unaudited; however, such financial information reflects all adjustments which are, in the opinion of the General Partner, necessary for the fair presentation of the financial statements for the interim period.</p>
</us-gaap:BasisOfAccountingPolicyPolicyTextBlock>
<us-gaap:FairValueOfFinancialInstrumentsPolicy contextRef="From2020-01-01to2020-03-31">
<p style="font: bold 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-indent: 0in">C.       Fair Value</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">In accordance with the authoritative guidance under U.S. GAAP, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e. the “exit price”) in an orderly transaction between market participants at the measurement date.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">In determining fair value, the Partnership uses various valuation approaches. The authoritative guidance under U.S. GAAP establishes a fair value hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are those that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Partnership.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Unobservable inputs reflect the Partnership’s assumption about the inputs market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The fair value hierarchy is categorized into three levels based on the inputs as follows:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 1 - Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Partnership has the ability to access at the measurement date;</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 2 - Quoted prices which are not active, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0.5in; text-align: justify">Level 3 - Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0.5in; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The availability of valuation techniques and observable inputs can vary from assets and liabilities and is affected by a wide variety of factors, including the type of asset or liability, whether the asset or liability is new and not yet established in the marketplace, and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Those estimated values do not necessarily represent the amounts that may be ultimately realized due to the occurrence of future circumstances that cannot be reasonably determined. Because of the inherent uncertainty of valuation, those estimated values may be materially higher or lower than the values that would have been used had a ready market for the asset or liability existed. Accordingly, the degree of judgment exercised by the Partnership in determining fair value is greatest for assets and liabilities categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined by the lowest level input that is significant to the fair value measurement.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the Partnership’s own assumptions are set to reflect those that market participants would use in pricing the asset or liability at the measurement date. The Partnership uses prices and inputs that are current as of the measurement date, including prices and inputs during periods of market dislocation. In periods of market dislocation, the observability of prices and inputs may be reduced for many assets and liabilities. This condition could cause an asset or liability to be reclassified to a lower level within the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership values futures and options on futures contracts at the closing price of the contract’s primary exchange. The Partnership includes futures and options on futures contracts in Level 1 of the fair value hierarchy, as they are exchange traded derivatives.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. The Partnership includes forward currency contracts in Level 2 of the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of U.S. government agency bonds and notes is based on quoted prices in active markets. When quoted prices are not available, fair value is determined based on a valuation model that uses inputs that include interest-rate yield curves, cross-currency-basis index spreads, and country credit spreads similar to the bond in terms of issue, maturity and seniority. U.S. government agency bonds and notes are generally categorized in Levels 1 or 2 of the fair value hierarchy. As of March 31, 2020 and December 31, 2019, none of the Partnership’s holdings in U.S. government agency bonds and notes were fair valued using valuation models.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of corporate notes is determined using recently executed transactions, market price quotations (where observable), notes spreads or credit default swap spreads. The spread data used are for the same maturity as that of the notes. If the spread data does not reference the issuer, data that references a comparable issuer is used. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. These valuation methods represent both a market and income approach to fair value measurement. Corporate notes are categorized in Level 2 of the fair value hierarchy; however, in instances where significant inputs are unobservable, they are categorized in Level 3 of the hierarchy. As of March 31, 2020 or December 31, 2019, none of the Partnership’s holdings in corporate notes were fair valued using valuation models.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The fair value of certificates of deposit is determined based on a constant maturity curve for comparable instruments denominated in USD. This valuation method represents both a market and income approach to fair value measurement. Certificates of deposit are categorized in Level 2 of the fair value hierarchy.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">There were no changes to the Partnership’s valuation methodology during the three month period ended March 31, 2020 and the year ended December 31, 2019.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following table presents information about the Partnership’s assets and liabilities measured at fair value as March 31, 2020 and December 31, 2019:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; border-bottom: Black 1pt solid">March 31, 2020</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">4,896,670</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">71,447,709</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">76,344,379</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,383,937</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(1,203,304</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(4,587,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="background-color: White; border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt; text-indent: 12.3pt">Certificates of deposit</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">2,277,168</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">81,990,161</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">84,267,329</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,152,214</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(264,739</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,416,953</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; width: 100%; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">(1) See Note 7. “Financial Derivative Instruments” for the fair value in each type of contracts within this category.</font></td></tr> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">* Future contracts include settled variation margin.</font></td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s policy is to recognize any transfers between Level 1 and Level 2 assets as of the Partnership’s fiscal year-end.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">For the period ended March 31, 2020 and the year ended December 31, 2019, there were no transfers between Level 1 and Level 2 assets and liabilities. For the period ended March 31, 2020 and the year ended December 31, 2019, there were no Level 3 securities.</p>
</us-gaap:FairValueOfFinancialInstrumentsPolicy>
<us-gaap:DerivativesReportingOfDerivativeActivity contextRef="From2020-01-01to2020-03-31">
<p style="font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">D.       Investment Transactions and Investment Income</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from security transactions are determined using the specific identification cost method. Change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions and other trading fees are reflected as an adjustment to cost or proceeds at the time of the transaction. Interest income is recorded on an accrual basis.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Gains or losses on futures contracts, options on futures contracts and forward currency contracts are realized when contracts are closed. Net unrealized gains or losses on open contracts (the difference between contract trade price and quoted market price) are reflected in the Statements of Financial Condition. Any change in net unrealized gain or loss from the preceding period is reported in the Statements of Income (Loss). Brokerage commissions on futures and options on futures contracts include other trading fees and are recognized as trading gains and losses.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Net realized gains and losses from foreign currency related transactions represent gains and losses from sales of foreign currencies, currency gains and losses realized between trade and settlement dates on securities transactions, and the difference between the amounts of interest and foreign withholding taxes recorded on the Partnership’s books and the U.S. Dollar equivalent of the amounts actually received or paid. Net unrealized gain (loss) on other assets and other liabilities denominated in foreign currency arise from changes in the value of assets, other than investments in securities, and liabilities at quarter end, resulting from changes in the exchange rates.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">J.P. Morgan Chase Bank, N.A. (the “Custodian”) is the Partnership’s custodian. SG Americas Securities, LLC (the “Clearing Broker”) is the Partnership’s commodity broker. A portion of the Partnership’s assets are held as initial margin or option premiums (in cash or Treasury securities) in the Partnership’s brokerage accounts at the Clearing Broker. The Clearing Broker may convert the Partnership’s cash in U.S. dollar to foreign currency to facilitate the Partnership’s commodity trading activities. At times, the Partnership may carry foreign cash on loan with the Clearing Broker. Any net foreign currency on loan will be recognized in Foreign Currency Due to Broker on the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s Clearing Broker holds margin balances in a single currency, in which all margin requirements can be satisfied in U.S. dollars. Foreign currency balances can also be used to satisfy margin requirements. As of March 31, 2020 and December 31, 2019, the Partnership’s restricted cash balance on the Statements of Financial Condition of $3,279,510 and $7,510,328, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in US Dollars. As of March 31, 2020 and December 31, 2019, the Partnership’s restricted foreign currency balance on the Statements of Financial Condition of $1,137,325 and $1,582,344, respectively, represents the collateral pledged by the Partnership to satisfy the Clearing Broker’s margin requirements in foreign currency. The Partnership’s assets not deposited at the Clearing Broker are deposited with either the Custodian or held in bank cash accounts at Northern Trust Company (and used to pay Partnership operating expenses). For the Partnership’s cash deposited at the Custodian, the Partnership receives cash management services from J.P. Morgan Investment Management Inc. (“JPMIM”).</p>
</us-gaap:DerivativesReportingOfDerivativeActivity>
<awin:OptionContractsPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">E.       Option Contracts</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Generally, an option is a contract that gives the purchaser of the option, in return for the premium paid, the right to buy a specified security, currency or other instrument (an ‘‘underlying instrument’’) from the writer of the option (in the case of a call option), or to sell a specified security, currency, or other instrument to the writer of the option (in the case of put option) at a designated price. Put and call options that the Partnership may purchase or write may be traded on a national securities exchange or in the over-the-counter (OTC) market. All option positions entered into on a national securities exchange are cleared and guaranteed by the options clearing corporation, thereby reducing the risk of counterparty default. There can be no assurance that a liquid secondary market will exist for any option purchased or sold.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the buyer of an option, the Partnership has a right to buy (call option) or sell (put option) the underlying instrument at the exercise price. The Partnership may enter into closing sale transactions with respect to options, exercise them, or permit them to expire unexercised. When buying options, the potential loss is limited to the cost (premium plus transaction costs) of the option.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the writer of an option, the Partnership has the obligation to buy (call option) or sell (put option) the underlying instrument at the exercise price. When the Partnership writes an option, an amount equal to the premium received by the Partnership is recorded as a liability and subsequently marked to market to reflect the current value of the option written. If the written option expires unexercised, the Partnership realizes a gain in the amount of the premium received. If the Partnership enters into a closing transaction, it recognizes a gain or loss, depending on whether the cost of the purchase is less than or greater than the premium received. If the option is exercised, the Partnership will incur a loss to the extent the difference between the current market value of the underlying instrument and the exercise price exceeds the premium received.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As the writer of a call option, the Partnership retains the risk of loss should the underlying instrument increase in value. If the option is exercised, the Partnership will be required to buy or sell the instrument at the exercise price. Accordingly, these transactions result in off-balance sheet risk, as the Partnership’s ultimate obligation may exceed the amount indicated in the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">As of March 31, 2020 and December 31, 2019, the Partnership did not hold any option contracts.</p>
</awin:OptionContractsPolicyTextBlock>
<us-gaap:InvestmentPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="margin-top: 0; margin-bottom: 0"></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">F.</td><td style="padding-right: 2.8pt">Futures Contracts</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership engages in futures contracts as part of its investment strategy. Upon entering into a futures contract, the Partnership is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the initial margin. Subsequent payments (“variation margin”) are made or received by the Partnership each day, depending on the daily fluctuations in the value of the contract, and are included in settled variation margin on the Statements of Financial Condition. Due to broker amounts on the Statements of Financial Condition represent the amount of any short fall in the Fund's required cash margin. The Partnership recognizes a realized gain or loss when the contract is closed.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">There are several risks in connection with the use of futures contracts as an investment option. The change in value of futures contracts primarily corresponds with the value of their underlying instruments. In addition, there is the risk that the Partnership may not be able to enter into a closing transaction because of an illiquid secondary market. Open positions in futures contracts at March 31, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.</p>
</us-gaap:InvestmentPolicyTextBlock>
<awin:ForwardCurrencyContractsPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">G.</td><td style="padding-right: 2.8pt">Forward Currency Contracts</td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Forward currency contracts are entered into as an economic hedge against foreign currency exchange rate risk related to portfolio positions. A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date at an agreed upon price and quantity. Forward currency contracts are traded over-the-counter and not on an organized exchange. Forward currency contracts help to manage the overall exposure to the foreign currency backing some of the investments held by the Partnership. Each contract is marked-to-market daily and the change in market value is recorded by the Partnership as an unrealized gain or loss. When the contract is closed, the Partnership records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward currency contracts involves the risk that counterparties may not meet the terms of the agreement or unfavorable movements in the value of a foreign currency relative to the U.S. dollar. Open forward currency contracts at March 31, 2020 and December 31, 2019 are reflected within the Condensed Schedules of Investments.</p>
</awin:ForwardCurrencyContractsPolicyTextBlock>
<us-gaap:ForeignCurrencyTransactionsAndTranslationsPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i></i></b></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">H.</td><td style="padding-right: 2.8pt">Foreign Currency Transactions</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership’s functional currency is the U.S. dollar; however, it may transact business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in the Statements of Income (Loss).</p>
</us-gaap:ForeignCurrencyTransactionsAndTranslationsPolicyTextBlock>
<us-gaap:CashAndCashEquivalentsPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="margin-top: 0; margin-bottom: 0"></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">I.</td><td style="padding-right: 2.8pt">Cash</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership maintains a custody account with JPMorgan Chase Bank, N.A. and Northern Trust Company. At times, the Partnership’s cash balance could exceed the insured amount under the Federal Deposit Insurance Corporation (“FDIC”). The Partnership has not experienced any losses in such accounts and believes it is not subject to any significant counterparty risk related to its cash account.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">Both restricted cash and restricted foreign currency are held as margin collateral for futures transactions.</p>
</us-gaap:CashAndCashEquivalentsPolicyTextBlock>
<us-gaap:IncomeTaxPolicyTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="margin-top: 0; margin-bottom: 0"></p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: bold 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 0%"></td><td style="width: 24pt">J.</td><td style="padding-right: 2.8pt">Income Taxes</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is treated as a partnership for U.S. federal income tax purposes. As such, the partners are individually liable for their own distributable share of taxable income or loss. No provision has been made in the accompanying financial statements for U.S., federal, state, or local income taxes.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership is required to determine whether its tax positions are more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The tax benefit recognized is measured as the largest amount of benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. De-recognition of a tax benefit previously recognized results in the Partnership recording a tax liability that reduces ending partners’ capital. Based on its analysis, the Partnership has determined that it has not incurred any liability for unrecognized tax benefits as of March 31, 2020 and December 31, 2019. However, the Partnership’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to, on-going analyses of and changes to tax laws, regulations and interpretations thereof. The Partnership is subject to income tax examinations by major taxing authorities for all tax years since 2016.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The Partnership recognizes interest and penalties related to unrecognized tax benefits in interest expense and other expenses, respectively. No interest expense or penalties have been recognized as of and for the three months ended March 31, 2020 and December 31, 2019.</p>
</us-gaap:IncomeTaxPolicyTextBlock>
<us-gaap:FairValueByBalanceSheetGroupingTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following table presents information about the Partnership’s assets and liabilities measured at fair value as March 31, 2020 and December 31, 2019:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; border-bottom: Black 1pt solid">March 31, 2020</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">4,896,670</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">599,547</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">48,749,739</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">22,098,423</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">4,896,670</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">71,447,709</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">76,344,379</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,383,937</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,383,937</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(1,203,304</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(4,587,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="background-color: White; border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Balance as of</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 1</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 2</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Level 3</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold">Assets:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%; text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">2,277,168</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">403,817</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">U.S. Government agency bonds and notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">60,863,263</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; text-indent: 12.3pt">Corporate notes</td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: right">–</td><td style="font-weight: bold; text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">19,089,099</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt; text-indent: 12.3pt">Certificates of deposit</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,633,982</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">2,277,168</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">81,990,161</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">84,267,329</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold">Liabilities:</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; text-indent: 12.3pt">Futures contracts (1)*</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">–</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left">$</td><td style="text-align: right">(3,152,214</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt; text-indent: 12.3pt">Forward currency contracts (1)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: left"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 2.5pt"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,152,214</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(264,739</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">–</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,416,953</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellspacing="0" cellpadding="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; border-collapse: collapse"> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; width: 100%; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">(1) See Note 7. “Financial Derivative Instruments” for the fair value in each type of contracts within this category.</font></td></tr> <tr style="vertical-align: bottom"> <td style="white-space: nowrap; text-align: justify"><font style="font: 10pt Times New Roman, Times, Serif">* Future contracts include settled variation margin.</font></td></tr></table>
</us-gaap:FairValueByBalanceSheetGroupingTextBlock>
<us-gaap:ScheduleOfRelatedPartyTransactionsTableTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following tables show the fees paid to Altegris Investments and Altegris Clearing Solutions for the three months ended March 31, 2020 and 2019:</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="border-collapse: collapse; width: 100%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">Three months ended</td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">Three months ended</td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: center; border-bottom: Black 1pt solid">March 31, 2019</td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 66%; text-align: left">Altegris Clearing Solutions - Brokerage Commission fees</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 13%; text-align: right">267,660</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 13%; text-align: right">389,909</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Altegris Investments- Service fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">36,967</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">50,332</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: right; padding-bottom: 2.5pt">Total</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">304,627</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">440,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr></table>
</us-gaap:ScheduleOfRelatedPartyTransactionsTableTextBlock>
<us-gaap:ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following presents the fair value of derivatives contracts at March 31, 2020 and December 31, 2019. The fair value of derivatives contracts is presented as an asset if in a gain position and a liability if in a loss position. Fair value is presented on a gross basis in the table below even though the futures and forward contracts qualify for net presentation in the Statements of Financial Condition.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 85%"> <tr style="vertical-align: bottom"> <td colspan="13" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Assets</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Liability </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center"> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives </b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Net</b></font></td><td style="font-weight: bold; text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Derivatives Contracts</td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value </b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: left">Futures Contracts*</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">490,003</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(448,428</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">41,575</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">512,232</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(326,765</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">185,467</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">551,832</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(21,301</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">530,531</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">224,126</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(277,307</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(53,181</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">2,623,224</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(2,027,379</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">595,845</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">59,456</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(203,132</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(143,676</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">435,797</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(79,625</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">356,172</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">4,896,670</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(3,383,937</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">1,512,733</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">599,547</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(1,203,304</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(603,757</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: 0.05pt">Total Gross Fair Value of Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">5,496,217</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(4,587,241</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">908,976</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"></p> <p style="text-align: left; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">* Futures contracts include settled variation margin. </p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 85%"> <tr style="vertical-align: bottom"> <td colspan="13" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">December 31, 2019</td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td style="font-weight: bold; text-align: left"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Assets</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Liability</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center"> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Derivatives</b></font></td><td style="font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold"> </td> <td style="font-weight: bold; text-align: center"> </td><td style="font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Net</b></font></td><td style="font-weight: bold; text-align: center"> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Derivatives Contracts</td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font-family: Times New Roman, Times, Serif"><b>Fair Value</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: left">Futures Contracts*</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 40%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">80,153</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(635,761</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(555,608</td><td style="width: 1%; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">247,206</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(519,542</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(272,336</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">453,237</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(9,753</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">443,484</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">21,185</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(353,792</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(332,607</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">1,091,050</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,144,048</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(52,998</td><td style="text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">345,173</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(149,865</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">195,308</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">39,164</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(339,453</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(300,289</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">2,277,168</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(3,152,214</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(875,046</td><td style="padding-bottom: 1pt; text-align: left">)</td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">403,817</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(264,739</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">139,078</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: 0.05pt">Total Gross Fair Value of Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">2,680,985</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,416,953</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(735,968</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td></tr> </table> <p style="margin: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"></p> <p style="text-align: left; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt">* Futures contracts include settled variation margin.</p>
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<us-gaap:ScheduleOfDerivativeInstrumentsEffectOnOtherComprehensiveIncomeLossTableTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The below captions of “Realized” and “Change in Unrealized” correspond to the captions in the Statements of Income (Loss) for gain (loss) on trading of derivatives contracts.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="background-color: White; border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td colspan="13" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three Months Ended March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Change in</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Number of</p> <p style="margin-top: 0; margin-bottom: 0">Contracts</p></td><td style="text-align: center; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Realized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Unrealized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"> Closed</td><td style="text-align: center; padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Futures Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 38%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">(738,971</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">597,183</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 11%; text-align: right"> </td><td style="width: 3%; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,386,110</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">457,803</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,239,227</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">87,047</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(538,527</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">279,426</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(362,802</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">648,843</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(5,210,776</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(338,984</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">576,828</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">656,461</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">(8,899,585</td><td style="vertical-align: bottom; padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">2,387,779</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right">8,174</td><td style="padding-bottom: 2.5pt; text-align: center">(1)</td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(323,619</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(742,835</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center">(2)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: -8.25pt; padding-left: 8.25pt">Total Gain (loss) from Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(9,223,204</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">1,644,944</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right"> </td><td style="padding-bottom: 2.5pt; text-align: center"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" align="center" style="background-color: White; border-collapse: collapse; width: 85%; font: 10pt Times New Roman, Times, Serif"> <tr style="vertical-align: bottom"> <td colspan="13" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three Months Ended March 31, 2019</td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center">Type of</td><td> </td> <td colspan="2"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Change in</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Number of</p> <p style="margin-top: 0; margin-bottom: 0">Contracts</p></td><td style="text-align: center; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Realized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid">Unrealized</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="font-weight: bold; text-align: center; border-bottom: Black 1pt solid"> Closed</td><td style="text-align: center; padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Futures Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 38%">Agriculture</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">41,680</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left">$</td><td style="width: 11%; text-align: right">713,262</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 11%; text-align: right"> </td><td style="width: 3%; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td>Currencies</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(444,466</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">574,921</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Energy</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(2,540,629</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">800,213</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Interest Rates</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">799,042</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">21,542</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td>Metals</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">(1,755,636</td><td style="text-align: left">)</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">1,474,878</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Stock Indices</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">313,470</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right">563,367</td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Treasury Rates</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">2,461</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">54,859</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-bottom: 2.5pt"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">(3,584,078</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; text-align: right">4,203,042</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right">7,211</td><td style="padding-bottom: 2.5pt; text-align: center">(1)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: center"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="font-weight: bold; text-align: left; padding-bottom: 1pt">Forward Currency Contracts</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">178,111</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left">$</td><td style="border-bottom: Black 1pt solid; text-align: right">(85,823</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt; text-align: right"> </td><td style="padding-bottom: 1pt; text-align: center">(2)</td> </tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 2.5pt; text-indent: -8.25pt; padding-left: 8.25pt">Total Gain (loss) from Derivatives Contracts</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">(3,405,967</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left">)</td><td style="font-weight: bold; padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: left">$</td><td style="border-bottom: Black 2.5pt double; font-weight: bold; text-align: right">4,117,219</td><td style="padding-bottom: 2.5pt; font-weight: bold; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt; text-align: right"> </td><td style="padding-bottom: 2.5pt; text-align: center"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(1)</td><td style="text-align: justify; padding-right: 2.8pt">These closed contract amounts are representative of the Partnership’s volume of derivative activity for futures contracts during the period.</td></tr></table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 27pt; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="width: 100%; font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(2)</td><td style="text-align: justify">The total notional value of contracts closed for the period ended March 31, 2020, and period ended March 31, 2019 were approximately $112,693,000 and $147,968,000, respectively. These numbers represent the notional value at the opening of the contract, and are representative of the Partnership’s volume of derivative activity for forward currency contracts during those periods.</td></tr></table>
</us-gaap:ScheduleOfDerivativeInstrumentsEffectOnOtherComprehensiveIncomeLossTableTextBlock>
<us-gaap:OffsettingAssetsTableTextBlock contextRef="From2020-01-01to2020-03-31">
<table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%; background-color: White"><tr style="vertical-align: bottom"><td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle">Offsetting the Financial Assets and Derivative Assets</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="border-bottom: Black 1pt solid; text-align: center"><b>Gross Amounts Not Offset in the Statements of Financial Condition</b></td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold"> </td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold">As of March 31, 2020</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; width: 30%; font-weight: bold; text-align: center">Description</td><td style="width: 2%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross</p> <p style="margin-top: 0; margin-bottom: 0">Amounts of</p> <p style="margin-top: 0; margin-bottom: 0">Recognized</p> <p style="margin-top: 0; margin-bottom: 0">Assets</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross Amounts</p> <p style="margin-top: 0; margin-bottom: 0">Offset in the</p> <p style="margin-top: 0; margin-bottom: 0">Statements of</p> <p style="margin-top: 0; margin-bottom: 0">Financial Condition</p></td> <td style="width: 1%"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Net Amounts</p> <p style="margin-top: 0; margin-bottom: 0">of Assets Presented</p> <p style="margin-top: 0; margin-bottom: 0">in the Statements</p> <p style="margin-top: 0; margin-bottom: 0">of Financial Condition</p></td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Financial</p> <p style="margin-top: 0; margin-bottom: 0">Instruments</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Cash Collateral</p> <p style="margin-top: 0; margin-bottom: 0">Received (1)</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center">Net Amount</td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Forward Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right; vertical-align: bottom">599,547</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">(599,547</td> <td style="text-align: left; vertical-align: bottom">)</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures Contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">3,067,257</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">(2,659,156</td> <td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom">)</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">408,101</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">408,101</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-left: 20pt; text-align: left; padding-bottom: 2.5pt"><b>Total</b></td><td style="padding-bottom: 2.5pt"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>3,666,804</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(3,258,703</b></td> <td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>408,101</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>408,101</b></td><td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0"><b><i></i></b></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 0; text-align: justify"></p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td colspan="12" style="font-weight: bold">Offsetting the Financial Assets and Derivative Assets</td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="6" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Not Offset in the Statements of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td colspan="5" style="font-weight: bold">As of December 31, 2019</td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Description</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross <br />Amounts of <br />Recognized <br />Assets</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Offset in the <br />Statements of <br />Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amounts <br />of Assets Presented <br />in the Statements <br />of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Financial <br />Instruments</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Cash Collateral Received (1)</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amount</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="width: 22%; text-align: left">Forward contracts</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">403,817</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">(264,739</td><td style="width: 1%; text-align: left">)</td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">139,078</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">–</td><td style="width: 1%; text-align: left"> </td><td style="width: 2%"> </td> <td style="width: 1%; text-align: left"> </td><td style="width: 9%; text-align: right">139,078</td><td style="width: 1%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,452,946</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,452,946</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">1,856,763</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(1,717,685</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">139,078</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">139,078</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr></table>
</us-gaap:OffsettingAssetsTableTextBlock>
<us-gaap:OffsettingLiabilitiesTableTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="margin: 0"></p> <p style="margin: 0"></p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%; background-color: White"> <tr style="vertical-align: bottom"> <td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle">Offsetting the Financial Liabilities and Derivative Liabilities</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="border-bottom: Black 1pt solid; text-align: center"><b>Gross Amounts Not Offset in the Statements of Financial Condition</b></td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="text-align: left; font-weight: bold; vertical-align: middle"> </td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="6" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td colspan="4" style="font-weight: bold">As of March 31, 2020</td><td> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; width: 30%; font-weight: bold; text-align: center">Description</td><td style="width: 2%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross</p> <p style="margin-top: 0; margin-bottom: 0">Amounts of</p> <p style="margin-top: 0; margin-bottom: 0">Recognized</p> <p style="margin-top: 0; margin-bottom: 0">Liabilities</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Gross Amounts</p> <p style="margin-top: 0; margin-bottom: 0">Offset in the</p> <p style="margin-top: 0; margin-bottom: 0">Statements of</p> <p style="margin-top: 0; margin-bottom: 0">Financial Condition</p></td> <td style="width: 1%"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Net Amounts</p> <p style="margin-top: 0; margin-bottom: 0">of Liabilities Presented</p> <p style="margin-top: 0; margin-bottom: 0">in the Statements</p> <p style="margin-top: 0; margin-bottom: 0">of Financial Condition</p></td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Financial</p> <p style="margin-top: 0; margin-bottom: 0">Instruments</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center"><p style="margin-top: 0; margin-bottom: 0">Cash Collateral</p> <p style="margin-top: 0; margin-bottom: 0">Pledged (1)</p></td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="width: 1%; font-weight: bold; padding-bottom: 1pt; text-align: center"> </td> <td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; width: 9%; font-weight: bold; text-align: center">Net Amount</td><td style="width: 1%; padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: right"> </td> <td> </td><td> </td> <td style="text-align: right"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: left"> </td><td style="text-align: right"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left">Forward Contracts</td><td> </td> <td style="text-align: left"> </td><td style="text-align: right; vertical-align: bottom">(1,203,304</td><td style="text-align: left; vertical-align: bottom">)</td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">599,547</td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom">(603,757</td><td style="text-align: left; vertical-align: bottom">)</td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">603,757</td><td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom"> </td> <td style="text-align: right; vertical-align: bottom"> </td><td style="text-align: right; vertical-align: bottom">–</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures Contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="padding-bottom: 1pt; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">(2,659,156</td><td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom">)</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">2,659,156</td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"></td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: left; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="border-bottom: Black 1pt solid; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td> <td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom"> </td><td style="padding-bottom: 1pt; text-align: right; vertical-align: bottom">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="padding-left: 20pt; text-align: left; padding-bottom: 2.5pt"><b>Total</b></td><td style="padding-bottom: 2.5pt"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: left"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(3,862,460</b></td><td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>3,258,703</b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>(603,757</b></td><td style="padding-bottom: 2.5pt; text-align: left; vertical-align: bottom"><b>)</b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b>603,757</b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td> <td style="padding-bottom: 2.5pt; text-align: right; vertical-align: bottom"><b> </b></td><td style="border-bottom: Black 2.5pt double; text-align: right; vertical-align: bottom"><b>–</b></td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr></table> <p style="margin-top: 0; margin-bottom: 0"> </p> <p style="margin: 0"></p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td colspan="12" style="font-weight: bold">Offsetting the Financial Liabilities and Derivative Liabilities</td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="6" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Not Offset in the Statements of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="padding-bottom: 1pt"> </td> <td colspan="2" style="text-align: right"> </td><td style="padding-bottom: 1pt"> </td></tr> <tr style="vertical-align: bottom"> <td colspan="5" style="font-weight: bold">As of December 31, 2019</td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2" style="text-align: right"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td><td> </td> <td colspan="2"> </td><td> </td></tr> <tr style="vertical-align: bottom"> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Description</td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross <br />Amounts of <br />Recognized Liabilities</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Gross Amounts Offset in the <br />Statements of <br />Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amounts <br />of Liabilities Presented <br />in the Statements <br />of Financial Condition</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Financial <br />Instruments</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Cash Collateral Received (1)</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Net Amount</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; width: 22%">Forward contracts</td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">(264,739</td><td style="text-align: left; width: 1%">)</td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">264,739</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td><td style="width: 2%"> </td> <td style="text-align: left; width: 1%"> </td><td style="text-align: right; width: 9%">–</td><td style="text-align: left; width: 1%"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-bottom: 1pt">Futures contracts*</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(1,872,466</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">1,452,946</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">(419,520</td><td style="padding-bottom: 1pt; text-align: left">)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">419,520</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: left"> </td><td style="border-bottom: Black 1pt solid; text-align: right">–</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(2,137,205</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">1,717,685</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">(419,520</td><td style="padding-bottom: 2.5pt; text-align: left">)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">419,520</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: left"> </td><td style="border-bottom: Black 2.5pt double; text-align: right">–</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr></table>
</us-gaap:OffsettingLiabilitiesTableTextBlock>
<awin:FinancialHighlightsOfPartnershipTableTextBlock contextRef="From2020-01-01to2020-03-31">
<p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify">The following information presents the financial highlights of the Partnership for the three months ended March 31, 2020 and 2019. This information has been derived from information presented in the financial statements.</p> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="23" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Three months ended March 31, 2020</td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Original</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Original</td><td style="font-weight: bold"> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Special</td><td style="font-weight: bold"> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td style="font-weight: bold"> </td> <td colspan="2" style="font-weight: bold; text-align: center">Institutional</td><td style="font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class A</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class B</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Interests</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class A</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Class B</td><td style="padding-bottom: 1pt; font-weight: bold"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td colspan="2" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center">Interests</td><td style="padding-bottom: 1pt; font-weight: bold"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td><td> </td> <td colspan="2" style="text-align: center"> </td><td> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Total return for Limited Partners (3)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="width: 28%; text-align: left; padding-left: 7.95pt">Return prior to incentive fees</td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.40)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.19)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.13)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.84)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.38)%</td><td style="width: 2%; text-align: left"> </td><td style="width: 1%"> </td> <td style="width: 1%; text-align: center"> </td><td style="width: 8%; text-align: center">(9.19)%</td><td style="width: 2%; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total return after incentive fees</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.40)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.19)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.13)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.84)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.38)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(9.19)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Ratio to average net asset value</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Expenses prior to incentive fees (2)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.25%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.31%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.00%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">5.13%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.11%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.26%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees (3)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt; padding-left: 12.45pt">Total expenses</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.25%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.31%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.00%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">5.13%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.11%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.26%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Net investment (loss) (1) (2)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.96)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.03)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.77)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(3.84)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.87)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.02)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="margin: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; background-color: White; border-collapse: collapse; width: 100%"> <tr style="vertical-align: bottom"> <td style="padding-bottom: 1pt"> </td><td style="font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td colspan="22" style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Three months ended March 31, 2019</b></font></td></tr> <tr style="vertical-align: bottom"> <td style="width: 28%"> </td><td style="font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Original</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Original</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Special</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td><td style="text-align: center; width: 1%"> </td> <td style="text-align: center; width: 1%"> </td><td style="text-align: center; width: 8%"> </td><td style="text-align: center; width: 2%"> </td><td style="text-align: center; width: 1%"> </td> <td style="text-align: center; width: 1%"> </td><td style="text-align: center; width: 8%"> </td><td style="text-align: center; width: 2%"> </td><td style="text-align: center; font-weight: bold; width: 1%"> </td> <td style="font-weight: bold; text-align: center; width: 1%"> </td><td style="font-weight: bold; text-align: center; width: 8%"><font style="font: 10pt Times New Roman, Times, Serif"><b>Institutional</b></font></td><td style="font-weight: bold; text-align: center; width: 2%"> </td></tr> <tr style="vertical-align: bottom"> <td style="text-align: center; padding-bottom: 1pt"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class A</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class B</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Interests</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class A</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Class B</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: center"> </td><td style="text-align: center; font-weight: bold; padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"> </td><td style="border-bottom: Black 1pt solid; font-weight: bold; text-align: center"><font style="font: 10pt Times New Roman, Times, Serif"><b>Interests</b></font></td><td style="padding-bottom: 1pt; font-weight: bold; text-align: left"> </td></tr> <tr style="vertical-align: bottom"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Total return for Limited Partners (3)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Return prior to incentive fees</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.04%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.29%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.35%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">(0.41)%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.08%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">0.29%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">(0.00)%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="padding-left: 7.95pt"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Total return after incentive fees</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.04%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.29%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.35%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.41)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.08%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.29%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left">Ratio to average net asset value</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td style="text-align: left; padding-left: 7.95pt">Expenses prior to incentive fees (2)</td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.30%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.34%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.09%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">5.11%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">3.15%</td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center">2.33%</td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="text-align: left; padding-bottom: 1pt; padding-left: 7.95pt">Incentive fees (3)</td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td><td style="padding-bottom: 1pt"> </td> <td style="border-bottom: Black 1pt solid; text-align: center"> </td><td style="border-bottom: Black 1pt solid; text-align: center">0.00%</td><td style="padding-bottom: 1pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt; padding-left: 12.45pt">Total expenses</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.30%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.34%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.09%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">5.11%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">3.15%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">2.33%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: White"> <td> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td><td> </td> <td style="text-align: center"> </td><td style="text-align: center"> </td><td style="text-align: left"> </td></tr> <tr style="vertical-align: bottom; background-color: rgb(238,238,238)"> <td style="font-weight: bold; text-align: left; padding-bottom: 2.5pt">Net investment (loss) (1) (2)</td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(1.02)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.05)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">0.20%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(2.83)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.87)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td><td style="padding-bottom: 2.5pt"> </td> <td style="border-bottom: Black 2.5pt double; text-align: center"> </td><td style="border-bottom: Black 2.5pt double; text-align: center">(0.06)%</td><td style="padding-bottom: 2.5pt; text-align: left"> </td></tr> </table> <p style="font: 10pt Times New Roman, Times, Serif; margin: 0pt 2.8pt 0pt 0; text-align: justify"> </p> <p style="font: 10pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 0pt; margin-left: 0; text-align: justify"><i>Total return and the ratios to average net asset value are calculated for each class of Limited Partners’ capital taken as a whole. An individual Limited Partner’s total return and ratios may vary from the above returns and ratios due to the timing of their contributions and withdrawals and differing fee structures.</i></p> <p style="margin-top: 0; margin-bottom: 0"> </p> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(1)</td><td style="text-align: justify; padding-right: 2.8pt">Excludes incentive fee.</td></tr></table> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(2)</td><td style="text-align: justify; padding-right: 2.8pt">Annualized.</td></tr></table> <table cellpadding="0" cellspacing="0" style="font: 10pt Times New Roman, Times, Serif; width: 100%; margin-top: 0pt; margin-bottom: 0pt"><tr style="vertical-align: top"> <td style="width: 9pt"></td><td style="width: 18pt">(3)</td><td style="text-align: justify; padding-right: 2.8pt">Not annualized.</td></tr></table>
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<link:loc xlink:type="locator" xlink:href="#Foot-05-21" xlink:label="Foot-05_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-05-22" xlink:label="Foot-05_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-05-23" xlink:label="Foot-05_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-06-22" xlink:label="Foot-06_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-06-45" xlink:label="Foot-06_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-06-46" xlink:label="Foot-06_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-07-4" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-5" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-6" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-7" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-8" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-9" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-10" xlink:label="Foot-07_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-07-11" xlink:label="Foot-07_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-08-6" xlink:label="Foot-08_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-11-4" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-5" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-6" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-7" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-8" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-9" xlink:label="Foot-11_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-11-10" xlink:label="Foot-11_loc"/>
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<link:loc xlink:type="locator" xlink:href="#Foot-12-1" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-2" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-3" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-4" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-5" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-6" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-7" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-8" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-9" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-10" xlink:label="Foot-12_loc"/>
<link:loc xlink:type="locator" xlink:href="#Foot-12-11" xlink:label="Foot-12_loc"/>
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<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-01" xml:lang="en-US"> Excludes incentive fee. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-02" xml:lang="en-US"> Annualized. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-03" xml:lang="en-US"> Not annualized. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-04" xml:lang="en-US"> Futures contracts excludes settled variation margin. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-05" xml:lang="en-US"> The Partnership posted additional collateral of $3,813,078 as of March 31, 2020 and $8,673,152 for December 31, 2019 with the Clearing Broker. The Partnership may post collateral due to a variety of factors that may include, without limitation, initial margin or other requirements that are based on notional amounts which may exceed the fair value of the derivative contract. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-06" xml:lang="en-US"> These closed contract amounts are representative of the Partnerships volume of derivative activity for futures contracts during the period. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-07" xml:lang="en-US"> The total notional value of contracts closed for the period ended March 31, 2020, and period ended March 31, 2019 were approximately $112,693,000 and $147,968,000, respectively. These numbers represent the notional value at the opening of the contract, and are representative of the Partnerships volume of derivative activity for forward currency contracts during those periods. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-08" xml:lang="en-US"> Futures contracts include settled variation margin. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-09" xml:lang="en-US"> Future contracts include settled variation margin. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-10" xml:lang="en-US"> See Note 7. Financial Derivative Instruments for the fair value in each type of contracts within this category </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-11" xml:lang="en-US"> The rate reported is the effective yield at time of purchase. </link:footnote>
<link:footnote xlink:type="resource" xlink:role="http://www.xbrl.org/2003/role/footnote" xlink:label="Footnote-12" xml:lang="en-US"> Futures include settled variation margin. </link:footnote>
</link:footnoteLink>
</xbrli:xbrl>

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Filing Submission 0001683168-20-001627   –   Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)
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